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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/27/2020
Most recent certification approved 3/27/20 9:37 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 572
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 572
Percent signals followed since 03/27/2020 100%
This information was last updated 8/8/22 8:59 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/27/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

AI TQQQ SQQQ swing
(128265049)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 6 days ago
Trading style: Equity Trend-following Sector: Technology

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $120.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
111.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(46.8%)
Max Drawdown
265
Num Trades
49.4%
Win Trades
1.3 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +1.0%+10.6%+13.5%+16.5%+17.4%+27.9%(9.8%)+11.8%+33.5%+10.2%+229.2%
2021(1.9%)+9.5%+6.6%+19.2%+10.8%+14.4%(4.9%)+7.6%(24.1%)+21.5%+6.7%(5.7%)+64.1%
2022(11.6%)(25.3%)+12.0%+16.1%+2.7%(3.5%)+21.3%+6.8%                        +10.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 36 hours.

Trading Record

This strategy has placed 572 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/29/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 879 39.85 8/2 15:59 40.25 1.62%
Trade id #141236413
Max drawdown($1,130)
Time8/1/22 0:00
Quant open879
Worst price38.56
Drawdown as % of equity-1.62%
$351
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,888 31.64 7/29 15:59 33.37 n/a $3,261
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 768 43.42 7/28 15:59 42.14 1.79%
Trade id #141206651
Max drawdown($1,186)
Time7/28/22 15:06
Quant open768
Worst price41.87
Drawdown as % of equity-1.79%
($986)
Includes Typical Broker Commissions trade costs of $5.00
7/26/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,988 27.27 7/27 15:59 30.79 n/a $6,979
Includes Typical Broker Commissions trade costs of $5.00
7/22/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,979 29.48 7/26 11:32 27.50 6.4%
Trade id #141155917
Max drawdown($3,923)
Time7/26/22 11:32
Quant open1,979
Worst price27.50
Drawdown as % of equity-6.40%
($3,923)
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 684 47.99 7/22 15:59 46.18 5.12%
Trade id #141110416
Max drawdown($3,212)
Time7/22/22 9:51
Quant open684
Worst price43.29
Drawdown as % of equity-5.12%
($1,239)
Includes Typical Broker Commissions trade costs of $5.00
7/11/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,085 26.03 7/19 15:59 28.51 8.54%
Trade id #141026253
Max drawdown($5,020)
Time7/14/22 0:00
Quant open2,085
Worst price23.62
Drawdown as % of equity-8.54%
$5,161
Includes Typical Broker Commissions trade costs of $5.00
7/7/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 583 50.14 7/11 15:59 53.38 0.83%
Trade id #140994412
Max drawdown($485)
Time7/8/22 0:00
Quant open583
Worst price49.31
Drawdown as % of equity-0.83%
$1,880
Includes Typical Broker Commissions trade costs of $5.00
7/6/22 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,905 26.08 7/7 15:59 27.83 n/a $3,324
Includes Typical Broker Commissions trade costs of $5.00
6/29/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 431 56.83 7/6 15:58 53.81 3.47%
Trade id #140907331
Max drawdown($1,910)
Time7/6/22 15:36
Quant open431
Worst price52.40
Drawdown as % of equity-3.47%
($1,314)
Includes Typical Broker Commissions trade costs of $8.62
6/29/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,490 24.70 6/29 15:59 24.94 1.6%
Trade id #140900328
Max drawdown($900)
Time6/29/22 9:45
Quant open1,490
Worst price24.10
Drawdown as % of equity-1.60%
$348
Includes Typical Broker Commissions trade costs of $5.00
6/24/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 343 51.06 6/29 9:30 57.07 0.73%
Trade id #140858275
Max drawdown($395)
Time6/27/22 0:00
Quant open343
Worst price49.91
Drawdown as % of equity-0.73%
$2,053
Includes Typical Broker Commissions trade costs of $6.86
6/21/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 325 59.25 6/24 9:44 53.46 3.41%
Trade id #140824228
Max drawdown($1,888)
Time6/24/22 9:44
Quant open325
Worst price53.44
Drawdown as % of equity-3.41%
($1,890)
Includes Typical Broker Commissions trade costs of $6.50
6/16/22 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 284 66.43 6/21 9:35 59.68 3.48%
Trade id #140790213
Max drawdown($1,994)
Time6/21/22 9:35
Quant open284
Worst price59.41
Drawdown as % of equity-3.48%
($1,924)
Includes Typical Broker Commissions trade costs of $5.68
6/13/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,225 23.79 6/16 9:30 22.94 3.31%
Trade id #140756048
Max drawdown($2,066)
Time6/16/22 9:30
Quant open2,225
Worst price22.86
Drawdown as % of equity-3.31%
($1,893)
Includes Typical Broker Commissions trade costs of $7.50
6/10/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 346 56.38 6/13 15:59 64.40 n/a $2,768
Includes Typical Broker Commissions trade costs of $6.92
6/3/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,047 32.16 6/10 15:59 26.88 19.58%
Trade id #140675894
Max drawdown($11,237)
Time6/10/22 11:50
Quant open2,047
Worst price26.67
Drawdown as % of equity-19.58%
($10,807)
Includes Typical Broker Commissions trade costs of $5.00
6/2/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 960 44.44 6/3 15:59 48.02 n/a $3,427
Includes Typical Broker Commissions trade costs of $5.00
6/1/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,780 32.43 6/2 15:59 34.95 2.91%
Trade id #140654190
Max drawdown($1,744)
Time6/2/22 0:00
Quant open1,780
Worst price31.45
Drawdown as % of equity-2.91%
$4,485
Includes Typical Broker Commissions trade costs of $5.00
5/26/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 788 57.38 6/1 15:59 48.26 16.18%
Trade id #140603736
Max drawdown($9,447)
Time6/1/22 9:55
Quant open788
Worst price45.39
Drawdown as % of equity-16.18%
($7,192)
Includes Typical Broker Commissions trade costs of $5.00
5/20/22 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 387 58.80 5/25 15:00 56.36 1.81%
Trade id #140550028
Max drawdown($1,239)
Time5/23/22 0:00
Quant open387
Worst price55.60
Drawdown as % of equity-1.81%
($953)
Includes Typical Broker Commissions trade costs of $7.74
5/20/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,648 28.75 5/20 12:42 25.51 12.36%
Trade id #140542545
Max drawdown($8,816)
Time5/20/22 12:42
Quant open2,648
Worst price25.42
Drawdown as % of equity-12.36%
($8,587)
Includes Typical Broker Commissions trade costs of $5.00
5/19/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,600 58.18 5/20 9:30 55.90 5.04%
Trade id #140537366
Max drawdown($4,065)
Time5/20/22 0:00
Quant open1,600
Worst price55.64
Drawdown as % of equity-5.04%
($3,648)
Includes Typical Broker Commissions trade costs of $5.00
5/19/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,838 27.73 5/19 15:58 27.66 2.49%
Trade id #140529454
Max drawdown($1,972)
Time5/19/22 9:50
Quant open2,838
Worst price27.04
Drawdown as % of equity-2.49%
($204)
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 884 50.12 5/19 9:30 58.13 n/a $7,075
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,108 32.41 5/17 15:59 32.88 3.42%
Trade id #140499677
Max drawdown($2,471)
Time5/17/22 10:46
Quant open2,108
Worst price31.24
Drawdown as % of equity-3.42%
$973
Includes Typical Broker Commissions trade costs of $5.00
5/10/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 696 53.54 5/17 9:30 50.88 2.65%
Trade id #140432165
Max drawdown($1,984)
Time5/17/22 9:30
Quant open696
Worst price50.69
Drawdown as % of equity-2.65%
($1,857)
Includes Typical Broker Commissions trade costs of $5.00
5/9/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,356 30.41 5/10 15:59 31.67 0.42%
Trade id #140418736
Max drawdown($305)
Time5/10/22 11:10
Quant open2,356
Worst price30.28
Drawdown as % of equity-0.42%
$2,961
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 724 42.53 5/9 15:58 55.66 n/a $9,491
Includes Typical Broker Commissions trade costs of $9.74
5/2/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,457 38.25 5/4 15:58 42.23 4.58%
Trade id #140340361
Max drawdown($2,499)
Time5/4/22 11:31
Quant open1,457
Worst price36.53
Drawdown as % of equity-4.58%
$5,801
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/26/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    864.92
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    265
  • # Profitable
    131
  • % Profitable
    49.40%
  • Avg trade duration
    3.4 days
  • Max peak-to-valley drawdown
    46.8%
  • drawdown period
    Nov 30, 2021 - March 09, 2022
  • Annual Return (Compounded)
    111.7%
  • Avg win
    $1,905
  • Avg loss
    $1,402
  • Model Account Values (Raw)
  • Cash
    $28,868
  • Margin Used
    $0
  • Buying Power
    $33,233
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.25
  • Calmar Ratio
    2.873
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    437.22%
  • Correlation to SP500
    0.28690
  • Return Percent SP500 (cumu) during strategy life
    57.61%
  • Return Statistics
  • Ann Return (w trading costs)
    111.7%
  • Slump
  • Current Slump as Pcnt Equity
    12.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.117%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    119.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    18.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    996
  • Popularity (Last 6 weeks)
    999
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    968
  • Popularity (7 days, Percentile 1000 scale)
    998
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,403
  • Avg Win
    $1,905
  • Sum Trade PL (losers)
    $187,946.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $249,588.000
  • # Winners
    131
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    11
  • AUM
  • AUM (AutoTrader live capital)
    7221250
  • Win / Loss
  • # Losers
    134
  • % Winners
    49.4%
  • Frequency
  • Avg Position Time (mins)
    4932.60
  • Avg Position Time (hrs)
    82.21
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    2.38
  • Daily leverage (max)
    5.70
  • Regression
  • Alpha
    0.20
  • Beta
    0.72
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.91
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -3.903
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.20
  • Avg(MAE) / Avg(PL) - Winning trades
    0.441
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.040
  • Hold-and-Hope Ratio
    -0.265
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94160
  • SD
    0.53941
  • Sharpe ratio (Glass type estimate)
    1.74562
  • Sharpe ratio (Hedges UMVUE)
    1.69660
  • df
    27.00000
  • t
    2.66648
  • p
    0.00639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05716
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34863
  • Upside Potential Ratio
    4.81524
  • Upside part of mean
    1.35399
  • Downside part of mean
    -0.41240
  • Upside SD
    0.52477
  • Downside SD
    0.28119
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.18412
  • Mean of criterion
    0.94160
  • SD of predictor
    0.17535
  • SD of criterion
    0.53941
  • Covariance
    0.06090
  • r
    0.64386
  • b (slope, estimate of beta)
    1.98065
  • a (intercept, estimate of alpha)
    0.57692
  • Mean Square Error
    0.17689
  • DF error
    26.00000
  • t(b)
    4.29079
  • p(b)
    0.00011
  • t(a)
    2.00210
  • p(a)
    0.02790
  • Lowerbound of 95% confidence interval for beta
    1.03181
  • Upperbound of 95% confidence interval for beta
    2.92950
  • Lowerbound of 95% confidence interval for alpha
    -0.01540
  • Upperbound of 95% confidence interval for alpha
    1.16923
  • Treynor index (mean / b)
    0.47540
  • Jensen alpha (a)
    0.57692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77405
  • SD
    0.53176
  • Sharpe ratio (Glass type estimate)
    1.45564
  • Sharpe ratio (Hedges UMVUE)
    1.41476
  • df
    27.00000
  • t
    2.22353
  • p
    0.01737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75219
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43903
  • Upside Potential Ratio
    3.88155
  • Upside part of mean
    1.23185
  • Downside part of mean
    -0.45780
  • Upside SD
    0.47104
  • Downside SD
    0.31736
  • N nonnegative terms
    21.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.16776
  • Mean of criterion
    0.77405
  • SD of predictor
    0.17433
  • SD of criterion
    0.53176
  • Covariance
    0.06022
  • r
    0.64956
  • b (slope, estimate of beta)
    1.98131
  • a (intercept, estimate of alpha)
    0.44166
  • Mean Square Error
    0.16975
  • DF error
    26.00000
  • t(b)
    4.35624
  • p(b)
    0.00009
  • t(a)
    1.57563
  • p(a)
    0.06360
  • Lowerbound of 95% confidence interval for beta
    1.04641
  • Upperbound of 95% confidence interval for beta
    2.91620
  • Lowerbound of 95% confidence interval for alpha
    -0.13452
  • Upperbound of 95% confidence interval for alpha
    1.01784
  • Treynor index (mean / b)
    0.39068
  • Jensen alpha (a)
    0.44166
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17138
  • Expected Shortfall on VaR
    0.22163
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04691
  • Expected Shortfall on VaR
    0.11137
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.74004
  • Quartile 1
    1.00514
  • Median
    1.09624
  • Quartile 3
    1.22255
  • Maximum
    1.32550
  • Mean of quarter 1
    0.86486
  • Mean of quarter 2
    1.05760
  • Mean of quarter 3
    1.14240
  • Mean of quarter 4
    1.25831
  • Inter Quartile Range
    0.21741
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.37938
  • VaR(95%) (moments method)
    0.07476
  • Expected Shortfall (moments method)
    0.07598
  • Extreme Value Index (regression method)
    -1.02046
  • VaR(95%) (regression method)
    0.22169
  • Expected Shortfall (regression method)
    0.24708
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05027
  • Quartile 1
    0.06663
  • Median
    0.08298
  • Quartile 3
    0.22740
  • Maximum
    0.37182
  • Mean of quarter 1
    0.05027
  • Mean of quarter 2
    0.08298
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37182
  • Inter Quartile Range
    0.16077
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.35557
  • Compounded annual return (geometric extrapolation)
    1.22990
  • Calmar ratio (compounded annual return / max draw down)
    3.30782
  • Compounded annual return / average of 25% largest draw downs
    3.30782
  • Compounded annual return / Expected Shortfall lognormal
    5.54938
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87923
  • SD
    0.47207
  • Sharpe ratio (Glass type estimate)
    1.86250
  • Sharpe ratio (Hedges UMVUE)
    1.86021
  • df
    612.00000
  • t
    2.84889
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14580
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90429
  • Upside Potential Ratio
    10.73290
  • Upside part of mean
    3.24920
  • Downside part of mean
    -2.36997
  • Upside SD
    0.36577
  • Downside SD
    0.30273
  • N nonnegative terms
    343.00000
  • N negative terms
    270.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    613.00000
  • Mean of predictor
    0.18666
  • Mean of criterion
    0.87923
  • SD of predictor
    0.20025
  • SD of criterion
    0.47207
  • Covariance
    0.02743
  • r
    0.29012
  • b (slope, estimate of beta)
    0.68393
  • a (intercept, estimate of alpha)
    0.75200
  • Mean Square Error
    0.20443
  • DF error
    611.00000
  • t(b)
    7.49369
  • p(b)
    -0.00000
  • t(a)
    2.53838
  • p(a)
    0.00569
  • Lowerbound of 95% confidence interval for beta
    0.50470
  • Upperbound of 95% confidence interval for beta
    0.86317
  • Lowerbound of 95% confidence interval for alpha
    0.17011
  • Upperbound of 95% confidence interval for alpha
    1.33302
  • Treynor index (mean / b)
    1.28555
  • Jensen alpha (a)
    0.75156
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76709
  • SD
    0.47087
  • Sharpe ratio (Glass type estimate)
    1.62910
  • Sharpe ratio (Hedges UMVUE)
    1.62710
  • df
    612.00000
  • t
    2.49187
  • p
    0.00649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91169
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45897
  • Upside Potential Ratio
    10.20810
  • Upside part of mean
    3.18449
  • Downside part of mean
    -2.41740
  • Upside SD
    0.35537
  • Downside SD
    0.31196
  • N nonnegative terms
    343.00000
  • N negative terms
    270.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    613.00000
  • Mean of predictor
    0.16654
  • Mean of criterion
    0.76709
  • SD of predictor
    0.20051
  • SD of criterion
    0.47087
  • Covariance
    0.02736
  • r
    0.28975
  • b (slope, estimate of beta)
    0.68043
  • a (intercept, estimate of alpha)
    0.65377
  • Mean Square Error
    0.20344
  • DF error
    611.00000
  • t(b)
    7.48305
  • p(b)
    -0.00000
  • t(a)
    2.21422
  • p(a)
    0.01359
  • Lowerbound of 95% confidence interval for beta
    0.50186
  • Upperbound of 95% confidence interval for beta
    0.85900
  • Lowerbound of 95% confidence interval for alpha
    0.07392
  • Upperbound of 95% confidence interval for alpha
    1.23363
  • Treynor index (mean / b)
    1.12736
  • Jensen alpha (a)
    0.65377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04393
  • Expected Shortfall on VaR
    0.05542
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01919
  • Expected Shortfall on VaR
    0.03845
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    613.00000
  • Minimum
    0.86939
  • Quartile 1
    0.98759
  • Median
    1.00335
  • Quartile 3
    1.01833
  • Maximum
    1.13776
  • Mean of quarter 1
    0.96835
  • Mean of quarter 2
    0.99621
  • Mean of quarter 3
    1.01027
  • Mean of quarter 4
    1.03925
  • Inter Quartile Range
    0.03074
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.01631
  • Mean of outliers low
    0.91456
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.02773
  • Mean of outliers high
    1.08218
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10294
  • VaR(95%) (moments method)
    0.02887
  • Expected Shortfall (moments method)
    0.03740
  • Extreme Value Index (regression method)
    -0.14497
  • VaR(95%) (regression method)
    0.02922
  • Expected Shortfall (regression method)
    0.03730
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    53.00000
  • Minimum
    0.00069
  • Quartile 1
    0.00585
  • Median
    0.03945
  • Quartile 3
    0.08705
  • Maximum
    0.42270
  • Mean of quarter 1
    0.00305
  • Mean of quarter 2
    0.02239
  • Mean of quarter 3
    0.06716
  • Mean of quarter 4
    0.17109
  • Inter Quartile Range
    0.08120
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05660
  • Mean of outliers high
    0.32799
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34828
  • VaR(95%) (moments method)
    0.18949
  • Expected Shortfall (moments method)
    0.31821
  • Extreme Value Index (regression method)
    0.62918
  • VaR(95%) (regression method)
    0.16008
  • Expected Shortfall (regression method)
    0.35221
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.31829
  • Compounded annual return (geometric extrapolation)
    1.21444
  • Calmar ratio (compounded annual return / max draw down)
    2.87304
  • Compounded annual return / average of 25% largest draw downs
    7.09830
  • Compounded annual return / Expected Shortfall lognormal
    21.91170
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76450
  • SD
    0.55980
  • Sharpe ratio (Glass type estimate)
    1.36565
  • Sharpe ratio (Hedges UMVUE)
    1.35776
  • df
    130.00000
  • t
    0.96566
  • p
    0.45780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13447
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06515
  • Upside Potential Ratio
    9.83068
  • Upside part of mean
    3.63922
  • Downside part of mean
    -2.87472
  • Upside SD
    0.41974
  • Downside SD
    0.37019
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16123
  • Mean of criterion
    0.76450
  • SD of predictor
    0.24999
  • SD of criterion
    0.55980
  • Covariance
    -0.00918
  • r
    -0.06559
  • b (slope, estimate of beta)
    -0.14687
  • a (intercept, estimate of alpha)
    0.74082
  • Mean Square Error
    0.31445
  • DF error
    129.00000
  • t(b)
    -0.74656
  • p(b)
    0.54173
  • t(a)
    0.93341
  • p(a)
    0.44792
  • Lowerbound of 95% confidence interval for beta
    -0.53612
  • Upperbound of 95% confidence interval for beta
    0.24237
  • Lowerbound of 95% confidence interval for alpha
    -0.82947
  • Upperbound of 95% confidence interval for alpha
    2.31111
  • Treynor index (mean / b)
    -5.20515
  • Jensen alpha (a)
    0.74082
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60790
  • SD
    0.56066
  • Sharpe ratio (Glass type estimate)
    1.08426
  • Sharpe ratio (Hedges UMVUE)
    1.07799
  • df
    130.00000
  • t
    0.76669
  • p
    0.46645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85289
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57703
  • Upside Potential Ratio
    9.22147
  • Upside part of mean
    3.55461
  • Downside part of mean
    -2.94671
  • Upside SD
    0.40591
  • Downside SD
    0.38547
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19240
  • Mean of criterion
    0.60790
  • SD of predictor
    0.25074
  • SD of criterion
    0.56066
  • Covariance
    -0.00820
  • r
    -0.05836
  • b (slope, estimate of beta)
    -0.13050
  • a (intercept, estimate of alpha)
    0.58279
  • Mean Square Error
    0.31569
  • DF error
    129.00000
  • t(b)
    -0.66399
  • p(b)
    0.53713
  • t(a)
    0.73261
  • p(a)
    0.45905
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    -0.51935
  • Upperbound of 95% confidence interval for beta
    0.25835
  • Lowerbound of 95% confidence interval for alpha
    -0.99112
  • Upperbound of 95% confidence interval for alpha
    2.15671
  • Treynor index (mean / b)
    -4.65827
  • Jensen alpha (a)
    0.58279
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05319
  • Expected Shortfall on VaR
    0.06672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02462
  • Expected Shortfall on VaR
    0.04888
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86939
  • Quartile 1
    0.98416
  • Median
    1.00057
  • Quartile 3
    1.02015
  • Maximum
    1.13776
  • Mean of quarter 1
    0.96347
  • Mean of quarter 2
    0.99322
  • Mean of quarter 3
    1.01094
  • Mean of quarter 4
    1.04470
  • Inter Quartile Range
    0.03599
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.88004
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.10822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43638
  • VaR(95%) (moments method)
    0.04064
  • Expected Shortfall (moments method)
    0.07844
  • Extreme Value Index (regression method)
    0.13597
  • VaR(95%) (regression method)
    0.03178
  • Expected Shortfall (regression method)
    0.04421
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00115
  • Quartile 1
    0.01694
  • Median
    0.07355
  • Quartile 3
    0.27853
  • Maximum
    0.31003
  • Mean of quarter 1
    0.00904
  • Mean of quarter 2
    0.07355
  • Mean of quarter 3
    0.27853
  • Mean of quarter 4
    0.31003
  • Inter Quartile Range
    0.26160
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -327537000
  • Max Equity Drawdown (num days)
    99
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74848
  • Compounded annual return (geometric extrapolation)
    0.88854
  • Calmar ratio (compounded annual return / max draw down)
    2.86595
  • Compounded annual return / average of 25% largest draw downs
    2.86595
  • Compounded annual return / Expected Shortfall lognormal
    13.31850

Strategy Description

Trades TQQQ (3x long NASDAQ ETF) long/short (short via SQQQ). Strategy uses machine learning (Artificial Intelligence). Positions are swing/day traded. $30k+ required, margin required, autotrading highly recommended.

System may rescale down (ex: to $80k) whenever it reaches a higher amount (ex: $200k). Leveraged ETFs are great for making outsized returns. The disadvantage is the huge potential drawdowns due to 3x leverage. Think of this strategy as one that buys and holds TQQQ, and tries to be short (by being long SQQQ) during some of the drops. We use machine learning (AI) to determine the proper moves. TQQQ itself is highly volatile! Because of this, only use risk money (money you are comfortable with losing 100% with this strategy. System is 100% algorithmic (non-discretionary).

1. 3x ETFs are EXTREMELY VOLATILE and risky, should be part of your total account only
2. Margin required. No martingale or margin used (if IRA, IRA margin required)
3. If starting system, *** ENTER EXISTING OPEN POSITIONS ***
4. Position size is part of the strategy, be sure to set scaling properly
5. ETFs not available on IB in Europe https://europoor.com/how-to-buy-leveraged-etfs-from-europe/
6. $30k+ account size recommended
7. Auto-trading *** HIGHLY *** recommended

* AI TQQQ SQQQ swing: long/short, autotrading, $30k+, collective2.com/details/128265049
* AI TQQQ only swing: long only, autotrading, $10k+, collective2.com/details/131561344
* AI SOXL SOXS swing: long/short, autotrading, $30k+, collective2.com/details/127841340
* AI TQQQ longer term: long/short, manual ok, $10k+, collective2.com/details/139526503

Summary Statistics

Strategy began
2020-03-26
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.2%
Rank # 
#24
# Trades
265
# Profitable
131
% Profitable
49.4%
Net Dividends
Correlation S&P500
0.287
Sharpe Ratio
1.45
Sortino Ratio
2.25
Beta
0.72
Alpha
0.20
Leverage
2.38 Average
5.70 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.